Essays about: "Niklas Zettervall"

Found 1 essay containing the words Niklas Zettervall.

  1. 1. Multi-scale methods for stochastic differential equations

    University essay from Institutionen för fysik

    Author : Niklas Zettervall; [2012]
    Keywords : multilevel; Monte Carlo; multi-scale; stochastic differential equations;

    Abstract : Standard Monte Carlo methods are used extensively to solve stochastic differential equations. This thesis investigates a Monte Carlo (MC) method called multilevel Monte Carlo that solves the equations on several grids, each with a specific number of grid points. The multilevel MC reduces the computational cost compared to standard MC. READ MORE